Some results associated with the longest run in a strongly ergodic Markov chain

Abstract

This paper discusses the asymptotic behaviors of the longest run on a countable state Markov chain. Let \(\left\{ {X_a } \right\}_{a \in Z_ + }\) be a stationary strongly ergodic reversible Markov chain on countablestate space S = {1, 2, ...}. Let T ⊂ S be an arbitrary finite subset of S. Denote by L n the length of the longest run of consecutive i’s for i ∈ T, that occurs in the sequence X 1, ..., X n . In this paper, we obtain a limit law and a week version of an Erdos-Renyi type law for L n . A large deviation result of L n is also discussed.